Fitch Reviews 2015 Towd Point U.S. RMBS RPL Transactions

October 19, 2016 04:18 PM Eastern Daylight Time

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has reviewed 121 classes from four U.S. RMBS transactions
(across five groups) issued by the Towd Point Mortgage Trust (TPMT)
program in 2015 that are backed by re-performing loans (RPL) collateral:
TPMT Trusts 2015-1, 2015-2 (groups 1 and 2), 2015-3, and 2015-6.

Rating Action Summary:

--111 classes affirmed;

--10 classes upgraded;

--27 classes with rating Outlook revised to Positive from Stable.

A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com'
by performing a title search for 'U.S. RMBS RPL Rating Actions for
October 19th, 2016', or by using the link provided.

KEY RATING DRIVERS

The upgrades and Positive Outlooks reflect strong collateral performance
to date. Serious delinquencies for the mortgage pools under review range
from 1.2% to 6.4% of the outstanding unpaid principal balance (UPB),
while the credit enhancement (CE) of upgraded classes and those with a
Positive Outlook has increased since issuance by between 2.0% and 6.6%.

The upgrades reflect a variation from Fitch's 'U.S. RMBS Surveillance
and Re-REMIC Criteria', which limits upgrades above 'BBsf' for U.S. RMBS
classes that are projected to be outstanding for more than five years.
While the upgraded classes are expected to take longer than five years
to be paid in full, upgrades constraints were not applied in this review
due to the improved relationship between CE and expected loss, and the
structural strength of the transactions. The variation from criteria
resulted in the one-category upgrade of 10 classes that otherwise would
have been affirmed due to the upgrade cap.

A detailed list of Fitch's updated probability of default, loss
severity, and loss expectations can be found by performing a title
search for 'U.S. RMBS Loss Metrics' at www.fitchratings.com.
The report provides a summary of base-case and stressed scenario
projections.

RATING SENSITIVITIES

Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are increasingly more
stressful and less likely to occur. Although many variables are adjusted
in the stress scenarios, the primary driver of the loss scenarios is the
home-price forecast assumption. In the 'Bsf' scenario, Fitch assumes
home prices decline 10% below their long-term sustainable level. The
home-price decline assumption is increased by 5% at each higher rating
category up to a 35% decline in the 'AAAsf' scenario.

In addition to increasing mortgage pool losses at each rating category
to reflect increasingly stressful economic scenarios, Fitch analyzes
various loss-timing, prepayment, loan modification, servicer advancing,
and interest rate scenarios as part of the cash flow analysis. Each
class is analyzed with 43 different combinations of loss, prepayment and
interest rate projections.

Classes currently rated below 'Bsf' are at-risk to default at some point
in the future. As default becomes more imminent, bonds currently rated
'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'.

The ratings of bonds currently rated 'Bsf' or higher will be sensitive
to future mortgage borrower behavior, which historically has been
strongly correlated with home price movements. Despite recent positive
trends, Fitch currently expects home prices to decline in some regions
before reaching a sustainable level. While Fitch's ratings reflect this
home price view, the ratings of outstanding classes may be subject to
revision to the extent actual home price and mortgage performance trends
differ from those currently projected by Fitch.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

No third-party due diligence was provided or reviewed in relation to
this rating action.

As identified in Fitch's report 'US RMBS Surveillance and Re-REMIC
Criteria', the sources of information used to assess these ratings
include data provided by trustees, servicers, CoreLogic LoanPerformance
and Intex Solutions, Inc.

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